I don't know about VS2005 but load generation tools generally only work at the HTTP level (certainly Application Center Test that came with VS.net did). They don't interact with user interface components like dialog boxes. It would be very difficult to manage 200 virtual users running on 1 box all trying to deal with user interface.
I don't know the application or the architecutre your testing, so may already know all this, but this is what I would do.
I would do is capture the HTTP response that includes the instruction for the client application to open the dialog box. I'd then just check that the response contained the correct instruction.
Anyway, I like your signature [img]images/icons/wink.gif[/img]
Have a good day and catch ya later,
Ellie "soon to be a Hollywood star" Parker